when the window comes up, pointing to the suggested destination, you just change it. Things to try:
If there is a disclosure triangle, click on it for a view with more options.
Move the mouse over the folder suggested (in the center at the top) and press the mouse button. This should give you a menu of folders, upward in the directory from where you started. [if not, use the command key as well.]
Move up the directory to your "Home" Folder (the one with your user-short-name) and then you can double-click on folders to navigate back down again.
Once you get this to work for one Application, they all work in a very similar way, so you know how to do this for essentially ALL Applications.